title: High-dimensional feature selection by feature-wise kernelized Lasso.
abstract: The goal of supervised feature selection is to find a subset of input features that are responsible for predicting output values. The least absolute shrinkage and selection operator (Lasso) allows computationally efficient feature selection based on linear dependency between input features and output values. In this letter, we consider a feature-wise kernelized Lasso for capturing nonlinear input-output dependency. We first show that with particular choices of kernel functions, nonredundant features with strong statistical dependence on output values can be found in terms of kernel-based independence measures such as the Hilbert-Schmidt independence criterion. We then show that the globally optimal solution can be efficiently computed; this makes the approach scalable to high-dimensional problems. The effectiveness of the proposed method is demonstrated through feature selection experiments for classification and regression with thousands of features.
authors.affiliation: Yahoo Labs, 701 1st Ave., Sunnyvale, CA 94098, U.S.A. makotoy@yahoo-inc.com.
authors.forename: Makoto
authors.initials: M
authors.lastname: Yamada
authors.forename: Wittawat
authors.initials: W
authors.lastname: Jitkrittum
authors.forename: Leonid
authors.initials: L
authors.lastname: Sigal
authors.forename: Eric P
authors.initials: EP
authors.lastname: Xing
authors.forename: Masashi
authors.initials: M
authors.lastname: Sugiyama
mesh_terms: D000465:Algorithms; D000818:Animals; D001185:Artificial Intelligence; D017711:Nonlinear Dynamics; D020411:Oligonucleotide Array Sequence Analysis; D010363:Pattern Recognition, Automated / Q000379:methods*; D051381:Rats